Inflation and Individual Equities

26 Pages Posted: 30 Aug 2011

See all articles by Andrew Ang

Andrew Ang

BlackRock, Inc

Marie Briere

Amundi Asset Management; Paris Dauphine University; Université Libre de Bruxelles

Ombretta Signori

AXA Investment Managers

Multiple version iconThere are 3 versions of this paper

Date Written: April 6, 2011


We study the inflation hedging ability of individual stocks. While the poor inflation hedging ability of the aggregate stock market has long been documented, there is considerable heterogeneity in how individual stock returns covary with inflation. Stocks with good inflation-hedging abilities since 1990 have had higher returns, on average, than stocks with low inflation betas and tend to be drawn from the Oil and Gas and Technology sectors. However, we show that the time variation of stock inflation betas is substantial. This makes it difficult to construct portfolios of stocks that are good inflation hedges out of sample. This is true for portfolios constructed on past inflation betas, sector portfolios, and portfolios constructed from high-paying dividend stocks.

Suggested Citation

Ang, Andrew and Briere, Marie and Signori, Ombretta, Inflation and Individual Equities (April 6, 2011). Netspar Discussion Paper No. 04/2011-069. Available at SSRN: or

Andrew Ang (Contact Author)

BlackRock, Inc ( email )

55 East 52nd Street
New York City, NY 10055
United States

Marie Briere

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015

Paris Dauphine University ( email )

Université Libre de Bruxelles ( email )


Ombretta Signori

AXA Investment Managers ( email )

Coeur Défense Tour B - La Défense 4
100 Esplanade du Général de Gaulle
PARIS, Paris La Défense Cedex 92932

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